. In this framework, we derive two bitcoin volatility measures. The first combines NDIG option pricing with the Chicago … Board Options Exchange VIX model to compute an implied volatility; the second uses the volatility of the unit time increment … of the NDIG model. Both volatility measures are compared to the volatility based on the historical standard deviation …

The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the …. Using the results of the asymmetric stochastic volatility model, we evaluated both the Nasdaq-100 index as a whole and the … volatility persistence, predictability, and correlation levels of individual stocks. This allowed us to evaluate the ability of …

Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity …

increasing the volatility of underlying physical market prices. Suspension of guar seed futures contract in 2012 at National … this paper is to investigate whether sudden surge in futures trading volume leads to increase in the volatility of spot … market prices. Design/methodology/approach – Guar seed spot returns volatility is modeled as a GARCH (1, 1) process. Futures …